Malliavin calculus for fractional delay equations - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Journal Articles Journal of Theoretical Probability Year : 2012

Malliavin calculus for fractional delay equations

Jorge A. Leon
  • Function : Author
  • PersonId : 836257
Samy Tindel
  • Function : Author
  • PersonId : 832698

Abstract

In this paper we study the existence of a unique solution to a general class of Young delay differential equations driven by a Hölder continuous function with parameter greater that 1/2 via the Young integration setting. Then some estimates of the solution are obtained, which allow to show that the solution of a delay differential equation driven by a fractional Brownian motion (fBm) with Hurst parameter H>1/2 has a smooth density. To this purpose, we use Malliavin calculus based on the Frechet differentiability in the directions of the reproducing kernel Hilbert space associated with fBm.
Fichier principal
Vignette du fichier
mallia-delay14.pdf (375.04 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-00440655 , version 1 (11-12-2009)

Identifiers

Cite

Jorge A. Leon, Samy Tindel. Malliavin calculus for fractional delay equations. Journal of Theoretical Probability, 2012, 25 (3), pp.854-889. ⟨10.1007/s10959-011-0349-4⟩. ⟨hal-00440655⟩
232 View
167 Download

Altmetric

Share

Gmail Facebook X LinkedIn More